Liu Kang is very fast and changes direction quickly. He's good for multiple oponents and he is able to build his fatality meter quickly with large mid-air combos. He is a good beginner character learning how the game mechanics work. His special attacks are more for setup than they are for damaging outright, making bosses somewhat of a pain.
Kung Lao has nearly limitless combo abilities with his dive kick, but does fairly small damage with his physical attacks. He relies more on stunning the oponent then dealing the final blow with one of his immensely damaging special moves. His pulse spin is particularly good for large bosses (Goro, Kintaro, Shao Kahn).
Scorpion is the fastest character with short, highly damaging combos. He is fairly limited in mid-air but he is able to escape situations with his teleport punch move, as well as deal massive ammounts of damage with his spear moves. His Flame Uppercut is a great one-hit wonder move that deals physical as well as fire damage and if you follow up with a mid-air throw (upgrade 3 i believe) he can take out weaker enemies in just a few hits. He also has the most oportunity to juggle people who have fallen to the ground, since his numerous launching attacks hit people on the ground. My Character of Choice.
Sub-Zero requires the most strategy of the four characters due to his slow but damaging attacks. His special moves are almost all for setting up a combo as most of them utilize his freezing icey elements. For this reason (and others) his special attacks are very limited. Most of his upgrades are quite useless and points would be better spent upgrading his combos, which are his staple attacks.
To answer the question posed in this topic's title, yes, characters most definitely have distinct advantages. Sub-Zero is advantagous for those who like to calculate their movements and play keep-away alot. Liu Kang has the advantage in multi-oponent combat. Kung Lao is the most effective in boss battles and 1-on-1 opponents. And finally Scorpion, is a flippin' badass in all situations. His spear katas and teleportation abilities make any boss battle easy, and his super-fast ultra-damaging basic moves send grunts cowering in fear in just a few short attacks.
